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Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields

Dai, Qiang; Singleton, Kenneth J.; Yang, Wei - In: The review of financial studies 20 (2007) 5, pp. 1669-1706

Persistent link: https://www.econbiz.de/10007873208

BOOK REVIEWS - 'Credit Risk. Pricing, Measurement, and Management'

Embrechts, P.; Duffie, Darrell; Singleton, Kenneth J. - In: Astin bulletin : the journal of the International … 34 (2004) 1, pp. 264-266

Persistent link: https://www.econbiz.de/10008214641

Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models

Singleton, Kenneth J.; Umantsev, Len - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 427-446

Persistent link: https://www.econbiz.de/10008216128

Efficient Estimation of Linear Asset-Pricing Models With Moving Average Errors

Hansen, Lars Peter; Singleton, Kenneth J. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 1, pp. 53-68

Persistent link: https://www.econbiz.de/10008220549

Discrete-Time AffineQ Term Structure Models with Generalized Market Prices of Risk

Le, Anh; Singleton, Kenneth J.; Dai, Qiang - In: The review of financial studies 23 (2010) 5, pp. 2184-2184

Persistent link: https://www.econbiz.de/10008407277

How sovereign is sovereign credit risk?

Longstaff, Francis A.; Pan, Jun; Pedersen, Lasse Heje; … - In: American economic journal / Macroeconomics : a journal … 3 (2011) 2, pp. 75-103

Persistent link: https://www.econbiz.de/10009904004

Term structure models and the zero bound: An empirical investigation of Japanese yields

Kim, Don H.; Singleton, Kenneth J. - In: Journal of econometrics 170 (2012) 1, pp. 32-50

Persistent link: https://www.econbiz.de/10009996201

Estimation and Evaluation of Conditional Asset Pricing Models

NAGEL, STEFAN; SINGLETON, KENNETH J. - In: The journal of finance : the journal of the American … 66 (2011) 3, pp. 873-910

Persistent link: https://www.econbiz.de/10009017722

Report of the Editor of the Journal of Finance for the Year 2013

SINGLETON, KENNETH J. - In: Journal of Finance 69 (2014) 4, pp. 1827-1842

Persistent link: https://www.econbiz.de/10010946095

Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

JOSLIN, SCOTT; PRIEBSCH, MARCEL; SINGLETON, KENNETH J. - In: Journal of Finance 69 (2014) 3, pp. 1197-1233

type="main" <title type="main">ABSTRACT</title> <p>This paper quantifies how variation in economic activity and inflation in the United States influences the market prices of level, slope, and curvature risks in Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment...</p>

Persistent link: https://www.econbiz.de/10011032191